The thing that confuses me is that they say it has a Thunderbolt cable and it helps data transfer between your Mac and Display to be much faster. What data transfer? Isn't it just a display mirroring whatever is already showing on the MacBook display?

This is accomplished via the fact that thunderbolt can carry PCIe signals in addition to the normal display image, so the peripherals in the display act like they're built into the laptop.

Thunderbolt combines PCI Express (PCIe) and DisplayPort (DP) into a serial data interface that can be carried over a single cable. Thunderbolt controller chips multiplex data lanes from these two sources for transmission via a duplex Thunderbolt lane then de-multiplex them for consumption from receiver chips.

There is actually the potential to even have an entire GPU in the external display, though no current devices implement the option.

Aha! finally understood! so basically in the old ugly days of PC laptops and external monitors If I wanted some file on my flash memory I had to connect it to that USB slot on the laptop or internet cable was connected to the laptop or camera was on the laptop, now they have built it all in the monitor its self...then than thunderbolt cable transfers it from monitor to laptop ... oh crazy apple!
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BlakeDec 23 '12 at 3:07

@BDotA - Basically, except the whole thing is Intel's idea. Apple just was the first to bring it to market.
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Fake NameDec 23 '12 at 4:01

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In addition to the ports listed in the accepted answer the thunderbolt display has a thunderbolt port for daisy chaining further thunderbolt devices such as a disk drive or additional display.
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Bob ScottDec 24 '12 at 6:37